Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Moonpig Group Plc backtest
10 trend-following strategies were compared on the full daily history of Moonpig Group Plc. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -9.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.9%, drawdown -78.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -17.4%, Sharpe 0.54, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.6%, MDD -32.5%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 2.6%, MDD -9.1%, exposure 6%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=115, exitN=38 |
6.8% | -17.4% | 0.54 | 0.39 | 1.4x | 5 | 17% |
| ROC 모멘텀 n=96, threshold=0.13 |
6.0% | -21.8% | 0.46 | 0.27 | 1.4x | 23 | 22% |
| SMA 크로스오버 fast=22, slow=218 |
7.6% | -32.5% | 0.45 | 0.23 | 1.5x | 13 | 39% |
| ADX / DI 방향성 period=14, threshold=37 |
2.6% | -9.1% | 0.43 | 0.28 | 1.2x | 8 | 6% |
| EMA 크로스오버 fast=53, slow=186 |
6.9% | -27.2% | 0.42 | 0.25 | 1.4x | 5 | 39% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
3.1% | -18.8% | 0.36 | 0.16 | 1.2x | 5 | 9% |
| MACD fast=9, slow=45, signal=10 |
5.9% | -28.1% | 0.34 | 0.21 | 1.4x | 86 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3 |
2.4% | -18.8% | 0.29 | 0.13 | 1.1x | 7 | 12% |
| Supertrend period=29, mult=3.5 |
-5.7% | -57.8% | -0.11 | -0.10 | 0.7x | 23 | 46% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-9.4% | -56.9% | -0.21 | -0.16 | 0.6x | 193 | 49% |
| Buy and hold | -5.9% | -78.9% | 0.05 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 115 days
- Sell — Sell when price breaks below the lowest low of the last 38 days